The PORT.c Model

Portfolio Selection Problem with a Restriction on the Number of Assets

View the model

Download the model

MINIMIZE 0.5 w'Q w

s.t.

sum_i w(i) = 1

sum_i r(i)w(i) >= R

for_i w(i) - u(i) x(i) <= 0 i=1...n

sum_i x(i) <= K

for_i x(i) are binary i=1...n

where

r(i) : return on asset i.

u(i) : an upper bound on the proportion of total budget that could be invested on asset i.

Q(i,j): covariance between the returns of i^th and j^th assets.

K : max number of assets allowed in the portfolio

w(i) : proportion of total budget invested on asset i

x(i) : a 0-1 indicator if asset i is invested on.

Keywords:

Portfolio | Portfolio Selection |